Journal
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
Volume 74, Issue 4, Pages 574-599Publisher
WILEY-BLACKWELL
DOI: 10.1111/j.1468-0084.2011.00662.x
Keywords
C12; C22; E17
Ask authors/readers for more resources
We develop a unit-root test based on a simple variant of Gallant's (1981) flexible Fourier form. The test relies on the fact that a series with several smooth structural breaks can often be approximated using the low frequency components of a Fourier expansion. Hence, it is possible to test for a unit root without having to model the precise form of the break. Our unit-root test employing Fourier approximation has good size and power for the types of breaks often used in economic analysis. The appropriate use of the test is illustrated using several interest rate spreads.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available